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Mortality derivatives and the option to annuitise

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Author Info
Milevsky, Moshe A.
David Promislow, S.
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 29 (2001)
Issue (Month): 3 (December)
Pages: 299-318
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Handle: RePEc:eee:insuma:v:29:y:2001:i:3:p:299-318

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  1. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Quantitative Finance Papers 0908.3196, arXiv.org. [Downloadable!]
  2. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2006. "A note on stochastic survival probabilities and their calibration," ICER Working Papers - Applied Mathematics Series 5-2006, ICER - International Centre for Economic Research. [Downloadable!]
    Other versions:
  3. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto. [Downloadable!]
    Other versions:
  4. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2009. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Working Papers hal-00417800_v1, HAL. [Downloadable!]
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